Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: simultaneity


From   Stata User <statauser@sbcglobal.net>
To   statalist@hsphsun2.harvard.edu
Subject   st: simultaneity
Date   Tue, 5 Aug 2003 17:12:00 -0700 (PDT)

Dear Statalisters,

I have two simultaneous equations:

(1)  y1 = a0*y2 + a1*x1 + a2*x2 + a3*x3 + e
(2)  y2 = b0*y1 + b1*z1 + b2*z2 + b3*z3 + u

The variables are first-differences. As I understand,
I can perform 2SLS by using ivreg2:

ivreg2 y1 x1 x2 x3 (y2 = z1 z2 z3)

My problem is slightly more complicated than this. 
What if, in each equation, there is a lag dependent
variable:
 
(3)  y1 = a0*y2 + a1*x1 + a2*x2 + a3*x3 + a4*Ly1 + e
(4)  y2 = b0*y1 + b1*z1 + b2*z2 + b3*z3 + b4*Ly2 + u

Here, Ly1 is correlated with e, and Ly2 is correlated
with u.  I plan to instrument Ly1 with L2y1
(two-period lag of y1) and Ly2 with L2y2 (two-period
lag of y2).

I believe I can still use ivreg2 to deal with this
problem.  My question is whether the following command
syntax is correct?

ivreg2 y1 x1 x2 x3 (y2 Ly1 Ly2 = z1 z2 z3 L2y1 L2y2)

And is -ivreg2, gmm- is the same as -ivgmm0-?

Any suggestion would be highly appreciated.
Best,
Busakorn








*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index